Work in progress to use shorts

1 files changed, 79 insertions, 53 deletions

diff --git a/portfolio.py b/portfolio.py
index 3257bcf..d9d2d4d 100644
--- a/portfolio.py
+++ b/portfolio.py
@@ -1,6 +1,6 @@
 from ccxt import ExchangeError
 import time
-from decimal import Decimal as D
+from decimal import Decimal as D, ROUND_DOWN
 # Put your poloniex api key in market.py
 from market import market
 
@@ -10,7 +10,7 @@ class Portfolio:
     data = None
 
     @classmethod
-    def repartition_pertenthousand(cls, liquidity="medium"):
+    def repartition(cls, liquidity="medium"):
         cls.parse_cryptoportfolio()
         liquidities = cls.liquidities[liquidity]
         cls.last_date = sorted(liquidities.keys())[-1]
@@ -40,7 +40,7 @@ class Portfolio:
             cls.get_cryptoportfolio()
 
         def filter_weights(weight_hash):
-            if weight_hash[1] == 0:
+            if weight_hash[1][0] == 0:
                 return False
             if weight_hash[0] == "_row":
                 return False
@@ -48,15 +48,13 @@ class Portfolio:
 
         def clean_weights(i):
             def clean_weights_(h):
-                if isinstance(h[1][i], str):
-                    return [h[0], h[1][i]]
+                if h[0].endswith("s"):
+                    return [h[0][0:-1], (h[1][i], "short")]
                 else:
-                    return [h[0], int(h[1][i] * 10000)]
+                    return [h[0], (h[1][i], "long")]
             return clean_weights_
 
         def parse_weights(portfolio_hash):
-            # FIXME: we'll need shorts at some point
-            assert all(map(lambda x: x == "long", portfolio_hash["holding"]["direction"]))
             weights_hash = portfolio_hash["weights"]
             weights = {}
             for i in range(len(weights_hash["_row"])):
@@ -105,6 +103,9 @@ class Amount:
         else:
             raise Exception("This asset is not available in the chosen market")
 
+    def __round__(self, n=8):
+        return Amount(self.currency, self.value.quantize(D(1)/D(10**n), rounding=ROUND_DOWN))
+
     def __abs__(self):
         return Amount(self.currency, abs(self.value))
 
@@ -196,35 +197,50 @@ class Balance:
         for key in hash_:
             if key in ["info", "free", "used", "total"]:
                 continue
-            if hash_[key]["total"] > 0 or key in cls.known_balances:
+            if hash_[key]["total"] != 0 or key in cls.known_balances:
                 cls.known_balances[key] = cls.from_hash(key, hash_[key])
 
     @classmethod
     def fetch_balances(cls, market):
         cls._fill_balances(market.fetch_balance())
         return cls.known_balances
+    # FIXME:Separate balances per trade type and in position
+    # Need to check how balances in position are represented
+
 
     @classmethod
     def dispatch_assets(cls, amount, repartition=None):
         if repartition is None:
-            repartition = Portfolio.repartition_pertenthousand()
-        sum_pertenthousand = sum([v for k, v in repartition.items()])
+            repartition = Portfolio.repartition()
+        sum_ratio = sum([v[0] for k, v in repartition.items()])
         amounts = {}
-        for currency, ptt in repartition.items():
-            amounts[currency] = ptt * amount / sum_pertenthousand
+        for currency, (ptt, trade_type) in repartition.items():
+            amounts[currency] = ptt * amount / sum_ratio
             if currency not in cls.known_balances:
                 cls.known_balances[currency] = cls(currency, 0, 0, 0)
         return amounts
 
     @classmethod
+    def dispatch_trade_types(cls, repartition=None):
+        if repartition is None:
+            repartition = Portfolio.repartition()
+        trade_types = {}
+        for currency, (ptt, trade_type) in repartition.items():
+            trade_types[currency] = trade_type
+        return trade_types
+        # FIXME: once we know the repartition and sold everything, we can move
+        # the necessary part to the margin account
+
+    @classmethod
     def prepare_trades(cls, market, base_currency="BTC", compute_value="average"):
         cls.fetch_balances(market)
         values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
         total_base_value = sum(values_in_base.values())
         new_repartition = cls.dispatch_assets(total_base_value)
+        trade_types = cls.dispatch_trade_types()
         # Recompute it in case we have new currencies
         values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
-        Trade.compute_trades(values_in_base, new_repartition, market=market)
+        Trade.compute_trades(values_in_base, new_repartition, trade_types, market=market)
 
     @classmethod
     def update_trades(cls, market, base_currency="BTC", compute_value="average", only=None):
@@ -232,15 +248,17 @@ class Balance:
         values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
         total_base_value = sum(values_in_base.values())
         new_repartition = cls.dispatch_assets(total_base_value)
-        Trade.compute_trades(values_in_base, new_repartition, only=only, market=market)
+        trade_types = cls.dispatch_trade_types()
+        Trade.compute_trades(values_in_base, new_repartition, trade_types, only=only, market=market)
 
     @classmethod
     def prepare_trades_to_sell_all(cls, market, base_currency="BTC", compute_value="average"):
         cls.fetch_balances(market)
         values_in_base = cls.in_currency(base_currency, market, compute_value=compute_value)
         total_base_value = sum(values_in_base.values())
-        new_repartition = cls.dispatch_assets(total_base_value, repartition={ base_currency: 1 })
-        Trade.compute_trades(values_in_base, new_repartition, market=market)
+        new_repartition = cls.dispatch_assets(total_base_value, repartition={ base_currency: (1, "long") })
+        trade_types = cls.dispatch_trade_types()
+        Trade.compute_trades(values_in_base, new_repartition, trade_types, market=market)
 
     def __repr__(self):
         return "Balance({} [{}/{}/{}])".format(self.currency, str(self.free), str(self.used), str(self.total))
@@ -253,16 +271,16 @@ class Computation:
             "ask": lambda x, y: x["ask"],
             }
 
-
 class Trade:
     trades = {}
 
-    def __init__(self, value_from, value_to, currency, market=None):
+    def __init__(self, value_from, value_to, currency, trade_type, market=None):
         # We have value_from of currency, and want to finish with value_to of
         # that currency. value_* may not be in currency's terms
         self.currency = currency
         self.value_from = value_from
         self.value_to = value_to
+        self.trade_type = trade_type
         self.orders = []
         self.market = market
         assert self.value_from.currency == self.value_to.currency
@@ -313,7 +331,7 @@ class Trade:
         return cls.get_ticker(c1, c2, market)
 
     @classmethod
-    def compute_trades(cls, values_in_base, new_repartition, only=None, market=None):
+    def compute_trades(cls, values_in_base, new_repartition, trade_types, only=None, market=None):
         base_currency = sum(values_in_base.values()).currency
         for currency in Balance.currencies():
             if currency == base_currency:
@@ -322,6 +340,7 @@ class Trade:
                 values_in_base.get(currency, Amount(base_currency, 0)), 
                 new_repartition.get(currency, Amount(base_currency, 0)),
                 currency,
+                trade_types.get(currency, "long"),
                 market=market
                 )
             if only is None or trade.action == only:
@@ -347,25 +366,30 @@ class Trade:
             return "sell"
 
     def order_action(self, inverted):
-        if self.value_from < self.value_to:
-            return "buy" if not inverted else "sell"
+        # a xor b xor c
+        if (self.trade_type == "short") != ((self.value_from < self.value_to) != inverted):
+            return "buy"
         else:
-            return "sell" if not inverted else "buy"
+            return "sell"
 
     def prepare_order(self, compute_value="default"):
         if self.action is None:
             return
-        ticker = self.value_from.ticker
+        ticker = Trade.get_ticker(self.currency, self.base_currency, self.market)
         inverted = ticker["inverted"]
         if inverted:
             ticker = ticker["original"]
         rate = Trade.compute_value(ticker, self.order_action(inverted), compute_value=compute_value)
         # 0.1
 
+        # FIXME: optimize if value_to == 0 or value_from == 0?)
+
         delta_in_base = abs(self.value_from - self.value_to)
         # 9 BTC's worth of move (10 - 1 or 1 - 10 depending on case)
 
         if not inverted:
+            currency = self.base_currency
+            # BTC
             if self.action == "sell":
                 # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
                 # At rate 1 Foo = 0.1 BTC
@@ -382,35 +406,26 @@ class Trade:
                 delta = delta_in_base.in_currency(self.currency, self.market, rate=1/rate)
                 # I want to buy 9 / 0.1 FOO
                 # Action: "buy" "90 FOO" at rate "0.1" "BTC" on "market"
-
-                # FIXME: Need to round up to the correct amount of FOO in case
-                # we want to use all BTC
-            currency = self.base_currency
-            # BTC
         else:
-            if self.action == "sell":
-                # I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
-                # At rate 1 Foo = 0.1 BTC
-                delta = delta_in_base
-                # Action: "buy" "9 BTC" at rate "1/0.1" "FOO" on market
-
-                # FIXME: Need to round up to the correct amount of FOO in case
-                # we want to sell all
-            else:
-                delta = delta_in_base
-                # I want to buy 9 / 0.1 FOO
-                # Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market"
-
-                # FIXME: Need to round up to the correct amount of FOO in case
-                # we want to use all BTC
-
             currency = self.currency
             # FOO
+            delta = delta_in_base
+            # sell: 
+            #   I have 10 BTC worth of FOO, and I want to sell 9 BTC worth of it
+            #   At rate 1 Foo = 0.1 BTC
+            #   Action: "buy" "9 BTC" at rate "1/0.1" "FOO" on market
+            # buy:
+            #   I want to buy 9 / 0.1 FOO
+            #   Action: "sell" "9 BTC" at rate "1/0.1" "FOO" on "market"
 
-        self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.market))
+        self.orders.append(Order(self.order_action(inverted), delta, rate, currency, self.trade_type, self.market))
 
     @classmethod
     def compute_value(cls, ticker, action, compute_value="default"):
+        if action == "buy":
+            action = "ask"
+        if action == "sell":
+            action = "bid"
         if isinstance(compute_value, str):
             compute_value = Computation.computations[compute_value]
         return compute_value(ticker, action)
@@ -450,11 +465,12 @@ class Trade:
             order.get_status()
 
     def __repr__(self):
-        return "Trade({} -> {} in {}, {})".format(
+        return "Trade({} -> {} in {}, {} {})".format(
                 self.value_from,
                 self.value_to,
                 self.currency,
-                self.action)
+                self.action,
+                self.trade_type)
 
     @classmethod
     def print_all_with_order(cls):
@@ -467,19 +483,20 @@ class Trade:
             print("\t", order, sep="")
 
 class Order:
-    def __init__(self, action, amount, rate, base_currency, market, account="exchange"):
+    def __init__(self, action, amount, rate, base_currency, trade_type, market):
         self.action = action
         self.amount = amount
         self.rate = rate
         self.base_currency = base_currency
         self.market = market
-        self.account = account
+        self.trade_type = trade_type
         self.result = None
         self.status = "pending"
 
     def __repr__(self):
-        return "Order({} {} at {} {} [{}])".format(
+        return "Order({} {} {} at {} {} [{}])".format(
                 self.action,
+                self.trade_type,
                 self.amount,
                 self.rate,
                 self.base_currency,
@@ -487,6 +504,13 @@ class Order:
                 )
 
     @property
+    def account(self):
+        if self.trade_type == "long":
+            return "exchange"
+        else:
+            return "margin"
+
+    @property
     def pending(self):
         return self.status == "pending"
 
@@ -496,13 +520,15 @@ class Order:
 
     def run(self, debug=False):
         symbol = "{}/{}".format(self.amount.currency, self.base_currency)
-        amount = self.amount.value
+        amount = round(self.amount, self.market.order_precision(symbol)).value
 
         if debug:
             print("market.create_order('{}', 'limit', '{}', {}, price={}, account={})".format(
                 symbol, self.action, amount, self.rate, self.account))
         else:
             try:
+                if self.action == "sell" and self.trade_type == "short":
+                    assert self.market.transfer_balance(self.base_currency, amount * self.rate, "exchange", "margin")
                 self.result = self.market.create_order(symbol, 'limit', self.action, amount, price=self.rate, account=self.account)
                 self.status = "open"
             except Exception as e:
@@ -527,7 +553,7 @@ def print_orders(market, base_currency="BTC"):
     Trade.prepare_orders(compute_value="average")
     for currency, balance in Balance.known_balances.items():
         print(balance)
-    portfolio.Trade.print_all_with_order()
+    Trade.print_all_with_order()
 
 def make_orders(market, base_currency="BTC"):
     Balance.prepare_trades(market, base_currency=base_currency)